Spiritually speaking, all the saints are in Christ, thus they are called the Body of Christ.
Geographically, in God’s universe, the saints are on earth, and called "the Church Militant." You find them in "the local church." Paul’s epistles recognise this. And they are there with all their imperfections and sins and all that is so prosaic about our lives. We don’t seem very glorious!
C. S. Lewis does a great job describing the blandness, if you will, of the saints we meet in the local church in The Screwtape Letters, Letter 2. You may remember the part, speaking of the man the demons are trying to turn from Christ, Screwtape writes to Wormwood:
When he gets to his pew and looks round him he sees just that selection of his neighbours whom he has hitherto avoided.... Make his mind flit to and fro between an expression like "the body of Christ" and the actual faces in the next pew.... Provided that any of those neighbours sing out of tune, or have boots that squeak, or double chins, or odd clothes, the patient will quite easily believe that their religion must therefore be somehow ridiculous. (p. 12, Macmillan paperback edition, 1971)
I love the apostle John’s words which deal with the difference between what we are now and what we are ideally in Christ and will manifestly be in Christ at the Resurrection. He writes, "Beloved, now are we the sons of God, and it doth not yet appear what we shall be: but we know that, when he shall appear, we shall be like him; for we shall see him as he is" (First Epistle, 3:2). The nature of our sanctification is not instant, but progressive, and our glory is quite invisible. It is at the Resurrection that we will enter into the full state of our glory as the saints of God.
But there is more to be said about the saints' location. The saints are on earth as long as their bodies are alive. When their bodies die, they are consciously, in soul, in the presence of God, which can be called heaven or Paradise; the intermediate state wherein the souls of the saints await the reunification with their bodies at the Resurrection. These saints are "the Church Triumphant." Their bodies are in the grave, resting in peace, as we say. The Bible gives us very little information on this, but we do have a glimpse here and there, as for example in Revelation 7; the Epistle reading from the Propers for All Saints.
There is no third place, no Purgatory for the saints. As our 22nd article states:
The Romish Doctrine concerning Purgatory, Pardons, Worshipping and Adoration, as well of Images as of Relics, and also Invocation of Saints, is a fond thing, vainly invented, and grounded upon no warranty of Scripture, but rather repugnant to the Word of God.
Purgatory is a Romish Doctrine. It is not Orthodox nor Protestant.
It is an interesting issue in Anglicanism. Some try to get around the 22nd article by saying, “Yes, the Romish doctrine is wrong, but what about the Anglican doctrine?” There are Anglicans which say that “it is almost impossible not to think that the life beyond the grave includes discipline through which the character is purified. Some form of purgatory is almost an intellectual necessity.” (Bicknell's commentary on the Articles, pp. 356,357). C. S. Lewis believed in Purgatory (see Letters to Malcolm). However, as Bishop N. T. Wright answers (I don't have the reference at hand): there has only been one idea of Purgatory, and that is the Roman. Any idea of Purgatory, in any communion, is a following of Rome’s ideas.
There is no biblical evidence for Purgatory; the Roman church has only been able to develop it through its acceptance of the Old Testament Apocrypha and its idea of continuing revelation in the traditions of the Church.
Interestingly, a recent pope once wrote that there is a cleansing of the soul by fire, but it is the fire of the presence of Christ in the Final Judgment! I wonder how that has been received?